Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2008 - Dec 2012)

Portfolio Allocations

Vanguard Total Bond Market Index Inv
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »
Vanguard Real Estate Index Investor
Ticker Name Allocation
VGSIX Vanguard Real Estate Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Bond Market Index Inv$10,000$13,254 5.80% 3.59%7.56%4.05%-3.99% 1.473.040.06
Vanguard Real Estate Index Investor$10,000$13,342 5.94% 32.73%29.58%-37.05%-61.94% 0.330.470.83
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Total Bond Market Index Inv0.10%4.05%6.00%5.80%5.80%2.54%3.59%
Vanguard Real Estate Index Investor2.44%17.53%17.82%5.94%5.94%18.31%32.73%
Trailing annualized return and volatility are for full months ending in December 2012 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationVanguard Total Bond Market Index InvVanguard Real Estate Index InvestorVanguard Total Bond Market Index Inv (VBMFX)Vanguard Real Estate Index Investor (VGSIX)
ReturnBalanceReturnBalance
20080.09%5.05%$10,505-37.05%$6,2955.05%-37.05%
20092.72%5.93%$11,12929.58%$8,1575.93%29.58%
20101.50%6.42%$11,84328.30%$10,4666.42%28.30%
20112.96%7.56%$12,7388.47%$11,3527.56%8.47%
20121.74%4.05%$13,25417.53%$13,3424.05%17.53%
Monthly returns for the configured portfolios
YearMonthVanguard Total Bond Market Index InvVanguard Real Estate Index InvestorVanguard Total Bond Market Index Inv (VBMFX)Vanguard Real Estate Index Investor (VGSIX)
ReturnBalanceReturnBalance
200811.69%$10,169-0.34%$9,9661.69%-0.34%
200820.19%$10,188-3.73%$9,5940.19%-3.73%
200830.30%$10,2186.45%$10,2120.30%6.45%
20084-0.30%$10,1885.89%$10,814-0.30%5.89%
20085-0.79%$10,1070.14%$10,828-0.79%0.14%
20086-0.01%$10,107-10.77%$9,662-0.01%-10.77%
200870.00%$10,1073.15%$9,9670.00%3.15%
200880.70%$10,1782.25%$10,1910.70%2.25%
20089-1.10%$10,065-0.11%$10,180-1.10%-0.11%
200810-2.53%$9,810-31.23%$7,000-2.53%-31.23%
2008113.64%$10,167-23.39%$5,3633.64%-23.39%
2008123.32%$10,50517.39%$6,2953.32%17.39%
20091-0.70%$10,432-17.39%$5,200-0.70%-17.39%
20092-0.42%$10,388-20.76%$4,121-0.42%-20.76%
200931.48%$10,5423.76%$4,2761.48%3.76%
200940.36%$10,57931.31%$5,6140.36%31.31%
200950.85%$10,6692.36%$5,7470.85%2.36%
200960.54%$10,727-3.25%$5,5600.54%-3.25%
200971.43%$10,88010.64%$6,1511.43%10.64%
200981.01%$10,99013.99%$7,0111.01%13.99%
200991.19%$11,1216.69%$7,4801.19%6.69%
2009100.41%$11,167-4.64%$7,1330.41%-4.64%
2009111.36%$11,3186.85%$7,6211.36%6.85%
200912-1.68%$11,1297.03%$8,157-1.68%7.03%
201011.57%$11,304-5.32%$7,7231.57%-5.32%
201020.20%$11,3265.55%$8,1520.20%5.55%
20103-0.08%$11,31710.09%$8,974-0.08%10.09%
201041.06%$11,4377.09%$9,6111.06%7.09%
201050.87%$11,536-5.41%$9,0910.87%-5.41%
201061.61%$11,722-5.24%$8,6151.61%-5.24%
201070.94%$11,8329.73%$9,4530.94%9.73%
201081.48%$12,007-1.24%$9,3351.48%-1.24%
20109-0.01%$12,0064.37%$9,743-0.01%4.37%
2010100.36%$12,0494.80%$10,2110.36%4.80%
201011-0.57%$11,981-2.04%$10,003-0.57%-2.04%
201012-1.15%$11,8434.63%$10,466-1.15%4.63%
201110.08%$11,8533.32%$10,8130.08%3.32%
201120.16%$11,8724.58%$11,3090.16%4.58%
20113-0.01%$11,872-1.44%$11,146-0.01%-1.44%
201141.32%$12,0285.66%$11,7771.32%5.66%
201151.30%$12,1851.36%$11,9381.30%1.36%
20116-0.39%$12,138-3.35%$11,538-0.39%-3.35%
201171.58%$12,3291.55%$11,7171.58%1.55%
201181.46%$12,509-5.53%$11,0701.46%-5.53%
201190.89%$12,621-10.98%$9,8540.89%-10.98%
2011100.16%$12,64114.39%$11,2720.16%14.39%
201111-0.30%$12,603-3.73%$10,852-0.30%-3.73%
2011121.08%$12,7384.61%$11,3521.08%4.61%
201210.87%$12,8506.49%$12,0890.87%6.49%
20122-0.05%$12,844-1.12%$11,954-0.05%-1.12%
20123-0.58%$12,7695.14%$12,568-0.58%5.14%
201241.14%$12,9142.88%$12,9311.14%2.88%
201250.95%$13,037-4.60%$12,3360.95%-4.60%
201260.04%$13,0425.64%$13,0330.04%5.64%
201271.39%$13,2221.93%$13,2841.39%1.93%
201280.03%$13,226-0.14%$13,2660.03%-0.14%
201290.11%$13,241-1.83%$13,0240.11%-1.83%
2012100.11%$13,255-0.83%$12,9150.11%-0.83%
2012110.19%$13,281-0.37%$12,8670.19%-0.37%
201212-0.20%$13,2543.69%$13,342-0.20%3.69%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
Large-cap Value0.00%0.00%
Large-cap Growth1.99%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.10%0.00%
Small-cap Value0.00%95.46%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%4.54%
Emerging Markets2.51%0.00%
Corporate Bonds11.16%0.00%
Long-Term Treasuries1.17%0.00%
Intermediate-Term Treasuries30.46%0.00%
Short-Term Treasuries52.61%0.00%
R Squared84.58%75.97%
Style analysis is based on monthly returns from January 2008 to December 2012 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv

Holdings Based Style Analysis for Vanguard Total Bond Market Index Inv
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%1.82%0.15%6.84$3,254100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Real Estate Index Investor

Holdings Based Style Analysis for Vanguard Real Estate Index Investor
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VGSIXVanguard Real Estate Index InvestorReal Estate100.00%3.06%0.26%38.80$3,342100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
Arithmetic Mean (monthly)0.48%0.94%
Arithmetic Mean (annualized)5.86%11.93%
Geometric Mean (monthly)0.47%0.48%
Geometric Mean (annualized)5.80%5.94%
Volatility (monthly)1.04%9.45%
Volatility (annualized)3.59%32.73%
Downside Deviation (monthly)0.48%6.73%
Max. Drawdown-3.99%-61.94%
US Market Correlation0.060.83
Beta(*)0.011.37
Alpha (annualized)5.67%5.68%
R20.37%68.40%
Sharpe Ratio1.470.33
Sortino Ratio3.040.47
Treynor Ratio (%)483.787.97
Calmar Ratio3.511.02
Active Return3.62%3.76%
Tracking Error19.84%19.81%
Information Ratio0.180.19
Skewness0.21-0.58
Excess Kurtosis1.833.49
Historical Value-at-Risk (5%)-1.11%-17.56%
Analytical Value-at-Risk (5%)-1.23%-14.60%
Conditional Value-at-Risk (5%)-1.79%-25.13%
Upside Capture Ratio (%)9.12140.48
Downside Capture Ratio (%)-11.97119.16
Safe Withdrawal Rate22.59%17.81%
Perpetual Withdrawal Rate3.78%3.91%
Positive Periods42 out of 60 (70.00%)34 out of 60 (56.67%)
Gain/Loss Ratio1.561.02
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Vanguard Total Bond Market Index Inv

Drawdowns for Vanguard Total Bond Market Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2Nov 2010Dec 20102 monthsMay 20115 months7 months-1.71%
3Dec 2009Dec 20091 monthFeb 20102 months3 months-1.68%
4Jan 2009Feb 20092 monthsMar 20091 month3 months-1.12%
5Feb 2012Mar 20122 monthsApr 20121 month3 months-0.63%
6Jun 2011Jun 20111 monthJul 20111 month2 months-0.39%
7Nov 2011Nov 20111 monthDec 20111 month2 months-0.30%
8Dec 2012Dec 20121 month-0.20%
9Mar 2010Mar 20101 monthApr 20101 month2 months-0.08%
10Sep 2010Sep 20101 monthOct 20101 month2 months-0.01%

Drawdowns for Vanguard Real Estate Index Investor

Drawdowns for Vanguard Real Estate Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsFeb 20112 years2 years 9 months-61.94%
2Jun 2011Sep 20114 monthsJan 20124 months8 months-17.45%
3May 2012May 20121 monthJun 20121 month2 months-4.60%
4Jan 2008Feb 20082 monthsMar 20081 month3 months-4.06%
5Aug 2012Nov 20124 monthsDec 20121 month5 months-3.14%
6Mar 2011Mar 20111 monthApr 20111 month2 months-1.44%
7Feb 2012Feb 20121 monthMar 20121 month2 months-1.12%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.80%3.59%7.56%4.05%-3.99%1.473.040.06
VGSIXVanguard Real Estate Index Investor5.94%32.73%29.58%-37.05%-61.94%0.330.470.83

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVGSIXVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv1.000.161.000.16
VGSIXVanguard Real Estate Index Investor0.161.000.161.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv$3,254
VGSIXVanguard Real Estate Index Investor$3,342

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
VBMFXVanguard Total Bond Market Index Inv100.00%
VGSIXVanguard Real Estate Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total Bond Market Index InvVanguard Real Estate Index Investor
AverageHighLowAverageHighLow
1 year6.53%13.83%1.96%14.99%109.90%-58.13%
3 years6.50%8.82%5.13%17.68%43.25%-1.08%